Numerical approximations for nonlinear stochastic systems with delays

DOI10.1080/10451120500138515zbMath1140.93497OpenAlexW2026326934MaRDI QIDQ5704544

Harold J. Kushner

Publication date: 15 November 2005

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10451120500138515

zbMATH Keywords

numerical methodsoptimal stochastic controlMarkov chain approximation methodstochastic equations with delay

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Stochastic systems in control theory (general) (93E03) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Discretisation of stochastic control problems for continuous time dynamics with delay ⋮ Stochastic minimax optimal time-delay state feedback control of uncertain quasi-integrable Hamiltonian systems ⋮ Nonlinear filtering for stochastic systems with fixed delay: approximation by a modified Milstein scheme ⋮ Time discretisation and rate of convergence for the optimal control of continuous-time stochastic systems with delay ⋮ Stochastic optimal time-delay control of quasi-integrable Hamiltonian systems ⋮ Numerical approximations for stochastic systems with delays in the state and control ⋮ Finite-dimensional representations for controlled diffusions with delay

Cites Work

• Probability methods for approximations in stochastic control and for elliptic equations
• Controlled and optimally controlled multiplexing systems: A numerical exploration
• The Infinite Time Quadratic Control Problem for Linear Systems with State and Control Delays: An Evolution Equation Approach
• Quadratic Control of Evolution Equations with Delays in Control
• Numerical Approximations for Hereditary Systems with Input and Output Delays: Convergence Results and Convergence Rates
• On the Control of a Linear Functional-Differential Equation with Quadratic Cost
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